like other function generators its sinewave distortion is about 1% which isn't very good. It is normal for a function generator. Its sinewave shaper just chops up its triangle wave.
Its sinewave symmetry might be better if you adjust its duty-cycle.
Are you using little 9V batteries? The MAX038 has a pretty high operating current and their voltage would quickly drop lower than the 7.5V minimum input voltage of the 7805 and 7809 regulators. Then your 5V supplies won't be regulated anymore, affecting output level and symmetry.